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Assume that the assets and liabilities of a bank are $150 million and $120 million, respectively, and their durations are 3 and 4. What will
Assume that the assets and liabilities of a bank are $150 million and $120 million, respectively, and their durations are 3 and 4. What will be the effect of an increase in interest rate of 5% on the net worth of the bank?
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